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In this paper, we consider a class of structured nonsmooth fractional minimization, where the first part of the objective is the ratio of a nonnegative nonsmooth nonconvex function to a nonnegative nonsmooth convex function, while the…
This paper considers stochastic convex optimization problems with two sets of constraints: (a) deterministic constraints on the domain of the optimization variable, which are difficult to project onto; and (b) deterministic or stochastic…
We propose stochastic splitting algorithms for solving large-scale composite inclusion problems involving monotone and linear operators. They activate at each iteration blocks of randomly selected resolvents of monotone operators and,…
We propose a new stochastic first-order algorithmic framework to solve stochastic composite nonconvex optimization problems that covers both finite-sum and expectation settings. Our algorithms rely on the SARAH estimator introduced in…
In this paper, the distributed resource allocation problem on strongly connected and weight-balanced digraphs is investigated, where the decisions of each agent are restricted to satisfy the coupled network resource constraints and…
This paper considers distributed stochastic optimization, in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network. Stochastic…
In this paper, we study a class of composite optimization problems whose objective function is given by the summation of a general smooth and nonsmooth component, together with a relatively simple nonsmooth term. While restart strategies…
Radiation Therapy (RT) plays a pivotal role in the treatment of cancer, offering the potential to effectively target and eliminate tumour cells while minimizing harm to surrounding healthy tissues. However, the success of RT heavily depends…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
In this paper, we propose and analyze zeroth-order stochastic approximation algorithms for nonconvex and convex optimization, with a focus on addressing constrained optimization, high-dimensional setting and saddle-point avoiding. To handle…
Stochastic approximation techniques have been used in various contexts in data science. We propose a stochastic version of the forward-backward algorithm for minimizing the sum of two convex functions, one of which is not necessarily…
We consider the problem of minimizing the sum of three convex functions: i) a smooth function $f$ in the form of an expectation or a finite average, ii) a non-smooth function $g$ in the form of a finite average of proximable functions…
Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…
In this paper, we introduce various mechanisms to obtain accelerated first-order stochastic optimization algorithms when the objective function is convex or strongly convex. Specifically, we extend the Catalyst approach originally designed…
For a linear equality constrained convex optimization problem involving two objective functions with a ``nonsmooth" + ``nonsmooth" composite structure, we study two algorithms derived from a mixed-order dynamical system which incorporates…
In this paper we consider a distributed stochastic optimization problem without the gradient/subgradient information for the local objective functions, subject to local convex constraints. The objective functions may be non-smooth and…
We introduce a clipping strategy for Stochastic Gradient Descent (SGD) which uses quantiles of the gradient norm as clipping thresholds. We prove that this new strategy provides a robust and efficient optimization algorithm for smooth…
The input to the Multiway Cut problem is a weighted undirected graph, with nonnegative edge weights, and $k$ designated terminals. The goal is to partition the vertices of the graph into $k$ parts, each containing exactly one of the…
Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…
We develop a stochastic trust-region algorithm for minimizing the sum of a possibly nonconvex Lipschitz-smooth function that can only be evaluated stochastically and a nonsmooth, deterministic, convex function. This algorithm, which we call…